Risk of beta: Evidence from Prospect Theory

According to Prospect Theory, Investors have different behaviors in theprofit and loss situations and indeed their trading behavior is different in bulland bear markets. This study uses quantile regression model (in differentquartiles) and OLS model to estimate beta of 180 firms. Results showed that...

Full description

Bibliographic Details
Published in:مطالعات تجربی حسابداری مالی
Main Authors: Ali Saghafi, Roohollah Farhadi, Mohammad Taghi Taghavi Fard
Format: Article
Language:Persian
Published: Allameh Tabataba'i University Press 2015-03-01
Subjects:
prospect theory
quantile regression
unexpected variance
expected variance
reference point
Online Access:https://qjma.atu.ac.ir/article_1719_ae80b9f1f877c24b305cc45cfe7a7bda.pdf

Internet

https://qjma.atu.ac.ir/article_1719_ae80b9f1f877c24b305cc45cfe7a7bda.pdf

Similar Items